Roksbox currently supports Basic Authentication.
Most likely, you don't need to use any type of authentication. If your media server is on your local network behind a router, then you probably don't need to use authentication. If your media server is directly connected to the internet without a router, or if you have your router open so you can access your server from outside your network, then you should probably use authentication.
If your media server is set up with Basic Authentication, it will require a username and password to access it. To make sure your authentication is working proberly, try to access a directory or file on your server from a web browser. The web browser should ask for a username and a password. After entering the correct username and password, you should be able to see your directory or file. If this doesn't happen, reconfigure your server so that the authentication functions correctly.
Roksbox works the same way as a web browser. If authentication is required, Roksbox will prompt for a username and a password. Once you enter the uisername and password, you can either continue without saving your credentials, or you can continue and save your credentials. If you don't save your credentials, you will be prompted for them every time you start Roksbox and enter one of the media screens the first time. If you save your credentials, you won't be prompted for them again unless you change your password on your server.